Covid‐19 and Market Risk

A study of the impact of Covid‐19 on downside stock market risk in the G‐20 nations using Value‐at‐Risk models suggests that the market volatility was higher during the pandemic than during other periods of market turmoil.

Abstract

The study has attempted to study the impact of Covid‐19 on downside stock market risk in the G‐20 nations using Vaue‐at‐Risk models. The findings of the study suggest that all the G‐20 nations have experienced very high level of risk during the Global Financial Crisis and the Covid‐19 pandemic, as all the countries’ stock markets were critical during these two periods, but the magnitude of the risk is found to be highest during the Covid‐19 period compared to other regimes in most of the countries. However, one shocking revelation is that China is found to be in the safe zone with very little market risk, whereas all other countries are found to be critical.